haku: @indexterm Rate of return / yhteensä: 621
viite: 76 / 621
| Tekijä: | Tong, W. H. S. |
| Otsikko: | An examination of dynamic hedging |
| Lehti: | Journal of International Money and Finance
1996 : FEB, VOL. 15:1, p. 19-35 |
| Asiasana: | MACROECONOMICS HEDGING RATE OF RETURN |
| Kieli: | eng |
| Tiivistelmä: | I compare GARCH-modeled dynamic hedging strategies with traditional OLS-modeled strategies to determine which perform better. I find that dynamic hedging reduces risk more than static hedging, but only slightly. This is consistent with some previous findings that more complex hedging methods may not improve the performance much. Briys and Solnik's (1992) static comparison of the macroeconomic and asset-specific components of the hedge ratio is extended to a dynamic setting to examine how the relative importance of these two components evolves through time. Cointegrating relationship between the spot and forward rates in the macroeconomic component is also considered but its effect is minimal. The asset-specific component has effect in the out-of-sample period, especially under dynamic strategies and under short-term hedging horizons. |
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